Details

Autor(en) / Beteiligte

• Podolskij, Mark
• Veliyev, Bezirgen
• Yoshida, Nakahiro

Titel

Edgeworth expansion for the pre-averaging estimator

Ist Teil von

• Stochastic processes and their applications, 2017-11, Vol.127 (11), p.3558-3595

Ort / Verlag

Elsevier B.V

Erscheinungsjahr

2017

Quelle

Access via ScienceDirect (Elsevier)

Beschreibungen/Notizen

• In this paper, we study the Edgeworth expansion for a pre-averaging estimator of quadratic variation in the framework of continuous diffusion models observed with noise. More specifically, we obtain a second order expansion for the joint density of the estimators of quadratic variation and its asymptotic variance. Our approach is based on martingale embedding, Malliavin calculus and stable central limit theorems for continuous diffusions. Moreover, we derive the density expansion for the studentized statistic, which might be applied to construct asymptotic confidence regions.